Preheat your grill to medium-high heat.
In a large bowl, toss the sliced zucchini, bell peppers, eggplant, and red onion with olive oil, salt, and pepper until evenly coated.
Place the vegetables on the grill, ensuring they are not overcrowded. Grill for about 3-4 minutes on each side, or until they develop nice grill marks and are tender-crisp.
While the vegetables are grilling, prepare the spiced yogurt dressing. In a small bowl, whisk together Greek yogurt, extra virgin olive oil, minced garlic, ground cumin, smoked paprika, and lemon juice. Season with salt and pepper to taste.
Once the vegetables are grilled to perfection, remove them from the grill and arrange them on a serving platter.
Drizzle the spiced yogurt dressing over the warm vegetables or serve it on the side for dipping.
Serve immediately, garnished with fresh herbs if desired.